Sharif Digital Repository

The seasonal fluctuations in economics variables relate to the different behavior of economic agents across different seasons. In past, seasonality has been viewed as a redundant feature that needs to be removed from data before economic analysis. From 1988, modeling seasonality has become the major concern of many economists; moreover, it was seen that many economic analysis and forecasts could be flawed if seasonality is ignored. In the present research, periodic times series approach is used for the first time in modeling the seasonality feature of the housing market. Regarding the importance of the housing sector in economy from micro and macroeconomic points of view, using a more... 

Asset and liability management is a method for optimizing cash flows of input and output of a bank . The model for optimizing the balance between liability and assets of a bank is presented in this research. Bank asset liability management and planning can be considered at the same time. In tjis model , all assets and liabilities in the bank balance sheet are discussed under different objectives and requirements , such as legal and administrate requirements, market condition, risk rate etc  

One of the risk factors of financial assets is liquidity. Identifying factors affecting liquidity helps us to predict stock liquidity and to control the risk of investing. The purpose of this research is to identify these factors in Tehran Stock Exchange. We use the data of 48 companies between1388 and 1392. Our results show that the liquidity follows a weekly and a monthly cycle. Stock return, market return, stock return volatility, market return volatility and trading volume are among the factors which affect stock liquidity. In addition, the reaction of liquidity changes to positive or negative stock return is asymmetric, and the effect of negative stock return is more influential. Our... 

This paper examines the effects of institutional price pressure caused by severe inflows and outflows of capital by studying mutual funds transactions in the Iranian stock market between 2010 and 2017. According to the findings, mutual funds that experience severe outflows tend to reduce or eliminate existing positions in their portfolios, which creates a severe price pressure in the securities held by distressed funds. This price pressure caused by a severe outflow of capital leads to decrease stock prices below their intrinsic value. So investors who buy shares that sold by mutual funds earn abnormal returns for providing liquidity. On the other hand, funds with severe capital inflows tend... 

In this research, we propose a dynamic econometric microstructure model of trading, and we investigate how the dynamics of trades and trade composition interact with the evolution of market liquidity. We estimate a bivariate generalized autoregressive intensity process for the arrival rates of informed and uninformed trades for fifty actively traded stocks in Tehran Stock Exchange over one year of transaction data. Our results show that both informed and uninformed trades are highly persistent, but that the uninformed arrival forecasts respond negatively to past forecasts of the informed intensity. Our estimation generates daily conditional arrival rates of informed and uninformed trades,... 

In mutual funds, due to the liquidity advantage, investors can trade their assets without paying cost. Flows dilute the effect of returns because funds cannot be invested immediately in high-risk assets or the fund manager cannot implement the optimal strategy. The effect of diluting cash flows can affect the fund's future performance and reduce shareholder returns. The effect of diluting the fund of flows in Iran is a very small amount of 0.08% per year, which is different from zero at a significant level of 5%, but economically this number is small and insignificant. Of course, the policies of investment funds and the pricing model of the value of the fund's assets can affect it and affect... 

Toxic flow occurs when a trader with confidential information trades with a market maker without that information. The trade price is such that the market maker is obliged to provide the desired liquidity by taking the risk of loss for the order. The PIN (Probability of Informed Trading) is widely used to calculate the amount of toxic flow in a market and evaluate the market condition in terms of informed trading. However, Easley et al. (2012a) propose a new alternative method based on high-frequency data and daily orders called VPIN (Volume-Synchronized Probability of Informed Trading), and we apply it in the Iran stock market. This method can give the market makers the ability to predict... 

In distress periods, liquidity constrained investors sell liquid corporate bonds and hold onto illiquid ones, a phenomenon which we refer to as flight from liquidity. Performing within issuer-time analysis to properly control for (changes in) credit risk, we find that flight from liquidity results in a decline in the liquidity premium and in a temporary underperformance of liquid corporate bonds during distress periods. Our findings suggest that holding credit risk fixed, liquid bonds do not provide safety during the time it is most needed.
 

The history of the researches conducted in the American, European and Iranian markets shows the importance of liquidity risk in the transactions of various types of financial assets. And as one of the important elements of risk in the pricing of financial assets, liquidity risk is considered for risk premium. Different criteria have been used to measure this type of risk in different researches, and their difference is in the ease of calculation and explanation. Liquidity risk can be divided into three categories: first, the commonality of liquidity risk of the portfolio or stock with market liquidity, second, the impact of portfolio or stock returns on the level of market liquidity, third,... 

Market making is a fundamental trading topic in which an agent creates liquidity in an asset by offering to buy and sell on that security. The challenging problem in market-making is related to inventory risk, which may cause the accumulation of unfavorable positions at the end of the market and create losses. Algorithms are designed for making trades to choose the buying and selling prices and the number of orders by predicting the price to minimize the amount of security in the market maker’s portfolio. In this paper, first, we examine the different market-making algorithms and evaluate their performance in the financial markets of Iran. Then, a model using the reinforcement learning... 

Although the differences between retail and institutional investors in the stock market can have important effects on key processes such as liquidity and price formation in this market, there are significant differences of opinion about how these differences would affect mentioned processes. An interesting question for financial researchers is how the effects of different groups affect the liquidity of the stock market. Liquidity is defined as the ability to carry out transactions with high speed, low cost and without being heavily influenced by the price. In this research, using 10-year stock information (2012-2022) such as order book, price and volume of transactions, we showed that the...